Correlation Between ProShares Ultra and ProShares UltraShort
Can any of the company-specific risk be diversified away by investing in both ProShares Ultra and ProShares UltraShort at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining ProShares Ultra and ProShares UltraShort into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ProShares Ultra Yen and ProShares UltraShort MSCI, you can compare the effects of market volatilities on ProShares Ultra and ProShares UltraShort and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in ProShares Ultra with a short position of ProShares UltraShort. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares Ultra and ProShares UltraShort.
Diversification Opportunities for ProShares Ultra and ProShares UltraShort
-0.66 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between ProShares and ProShares is -0.66. Overlapping area represents the amount of risk that can be diversified away by holding ProShares Ultra Yen and ProShares UltraShort MSCI in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ProShares UltraShort MSCI and ProShares Ultra is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on ProShares Ultra Yen are associated (or correlated) with ProShares UltraShort. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ProShares UltraShort MSCI has no effect on the direction of ProShares Ultra i.e., ProShares Ultra and ProShares UltraShort go up and down completely randomly.
Pair Corralation between ProShares Ultra and ProShares UltraShort
Considering the 90-day investment horizon ProShares Ultra Yen is expected to under-perform the ProShares UltraShort. But the etf apears to be less risky and, when comparing its historical volatility, ProShares Ultra Yen is 1.53 times less risky than ProShares UltraShort. The etf trades about -0.04 of its potential returns per unit of risk. The ProShares UltraShort MSCI is currently generating about -0.02 of returns per unit of risk over similar time horizon. If you would invest 5,199 in ProShares UltraShort MSCI on October 21, 2024 and sell it today you would lose (849.00) from holding ProShares UltraShort MSCI or give up 16.33% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
ProShares Ultra Yen vs. ProShares UltraShort MSCI
Performance |
| Timeline |
| ProShares Ultra Yen |
| ProShares UltraShort MSCI |
ProShares Ultra and ProShares UltraShort Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares Ultra and ProShares UltraShort
The main advantage of trading using opposite ProShares Ultra and ProShares UltraShort positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares Ultra position performs unexpectedly, ProShares UltraShort can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in ProShares UltraShort will offset losses from the drop in ProShares UltraShort's long position.| ProShares Ultra vs. ProShares Ultra Euro | ProShares Ultra vs. ProShares UltraShort Yen | ProShares Ultra vs. ProShares Ultra Telecommunications | ProShares Ultra vs. ProShares Ultra Consumer |
| ProShares UltraShort vs. ProShares UltraShort MSCI | ProShares UltraShort vs. ProShares Short MSCI | ProShares UltraShort vs. ProShares UltraShort MSCI | ProShares UltraShort vs. ProShares UltraShort Health |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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